Correlation Matrix: Definition

What is a Correlation Matrix?

A correlation matrix is a table showing correlation coefficients between sets of variables. Each random variable (Xi) in the table is correlated with each of the other values in the table (Xj). This allows you to see which pairs have the highest correlation.

The diagonal of the table is always a set of ones, because the correlation between a variable and itself is always 1. You could fill in the upper-right triangle, but these would be a repeat of the lower-left triangle (because B1:B2 is the same as B2:B1); In other words, a correlation matrix is also a symmetric matrix.

What Kind of Data Can I Compare?

The correlation matrix is simply a table of correlations. The most common correlation coefficient is Pearson’s correlation coefficient, which compares two interval variables or ratio variables. But there are many others, depending on the type of data you want to correlate. The following table shows some of the common choices for correlation coefficients: